I don`t deny that Anakins death was important for the story development, it was a "good" death, well writen. I would just have liked the whole thing better if he would not have been dead in the end.
I know that is not possible and the following books were good enough to let me acapt his death, but I can`t like it.
I was so sad when he died . Maybe my problem was that i hadn`t read the other books.
When i finished reading them his death fitted into the story like you said DarthAttorney.
But the question was how i reacted in the first place.

The fact they kill a major character just brings reality to the NJO. Whoever think someone can't die just because he/she/it's crucial to a story is wrong, I found it appealing, more interesting, and close to reality.
So, if someone stoped reading NJO just because a major character(s)is(are) dead, then should stop viewing the movies as well, Qui-Gon dies in TPM, Obi-Wan dies in ANH, Anakin/Vader dies in ROTJ.

"Which held true to the Jedi throughout the war, to extent of risking his life in every major engagement?"

I think that was also one of Anakin's major flaws, his recklessness in engagement. As you say, he was always the first one to throw himself into the fray and fight for what for he believed in. He was a rock, unyeilding and unwilling to accept anything other than what he was after. With his discovery of the Force bridging the two cultures through Vong biotechnology, it almost seems like Anakin laid the groundwork for his brother later in the series.

He suffered from that classic Jedi recklessness and frustration which seems to have trickled down the generations of Masters and Apprentices in his line all the way from Count Dooku (if we use the films as a basis for the EU).

Anyway, Anakin's death was sad, but it was great, because it added some reality to Star Wars, and it brought in more darkness than ever (and dark stories, I like!). That being said, Chewbacca's demise had more of an impact on me, because I was brought close to tears. Anakin's death didn't, and despite him being cool, I hope he doesn't return, because that would make the deaths of all other Jedi Knights through history a waste.